Repository logo
 

Lieb's concavity theorem, matrix geometric means, and semidefinite optimization

Accepted version
Peer-reviewed

Type

Article

Change log

Authors

Saunderson, J 

Abstract

A famous result of Lieb establishes that the map (A,B)↦tr[K^* A^{1−t}KB^{t}] is jointly concave in the pair (A,B) of positive definite matrices, where K is a fixed matrix and t∈[0,1]. In this paper we show that Lieb's function admits an explicit semidefinite programming formulation for any rational t∈[0,1]. Our construction makes use of a semidefinite formulation of weighted matrix geometric means. We provide an implementation of our constructions in Matlab.

Description

Keywords

Matrix convexity, Semidefinite optimization, Linear matrix inequalities, Lieb's concavity theorem, Matrix geometric means

Journal Title

Linear Algebra and Its Applications

Conference Name

Journal ISSN

0024-3795
1873-1856

Volume Title

513

Publisher

Elsevier
Sponsorship
Hamza Fawzi was supported in part by AFOSR FA9550-11-1-0305. James Saunderson was supported by NSF grant CCF-1409836.